Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0034
Annualized Std Dev 0.1324
Annualized Sharpe (Rf=0%) 0.0257

Row

Daily Return Statistics

Close
Observations 3706.0000
NAs 1.0000
Minimum -0.0708
Quartile 1 -0.0041
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.0775
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0083
Skewness -0.2773
Kurtosis 9.0023

Downside Risk

Close
Semi Deviation 0.0061
Gain Deviation 0.0056
Loss Deviation 0.0064
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0060
Downside Deviation (0%) 0.0060
Maximum Drawdown 0.4790
Historical VaR (95%) -0.0129
Historical ES (95%) -0.0199
Modified VaR (95%) -0.0128
Modified ES (95%) -0.0225
From Trough To Depth Length To Trough Recovery
2011-07-28 2020-03-19 NA -0.4790 2428 2175 NA
2008-07-16 2008-10-27 2010-10-08 -0.3825 564 73 491
2007-07-26 2007-08-16 2007-09-28 -0.1078 46 16 30
2007-11-01 2007-12-17 2008-02-26 -0.0791 79 32 47
2008-02-29 2008-03-20 2008-05-16 -0.0569 55 15 40

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.8 -0.4 0 -0.4 -0.3 -0.4 -0.1 -0.8
2007 -0.7 -0.8 0.3 -0.6 0.1 0.4 -0.4 0.4 0.4 -1.8 0.1 0 -2.6
2008 0.4 -1.8 -1.4 -1.4 0 -1.1 -1.8 -0.3 -0.6 -2.3 -2.8 2.8 -10.1
2009 -2.5 -1.5 0.3 0.2 1.1 0 1.4 -2.4 -1.8 -1.7 0.8 0.6 -5.4
2010 0.5 0.3 0.1 -0.2 -1.9 0 0.5 1.8 0.4 0.3 0.7 0.6 3
2011 1.2 -0.8 0.1 0.3 -0.9 0.2 -0.5 0.1 -1.1 -2.3 -0.9 0.9 -3.8
2012 0.5 0.4 -0.2 -1.1 -0.9 1.8 -0.7 0.3 -0.3 0 0 0.3 0
2013 -0.4 -0.3 -0.1 -1.1 -0.9 0.8 -1 -0.4 0.7 -0.3 0.3 0.3 -2.5
2014 -0.4 -0.4 -0.4 -0.4 0 0.6 0 -0.2 -0.4 -0.3 -0.3 -0.3 -2.4
2015 0.2 0.3 -0.4 -1.1 -0.7 -0.9 0.2 -1.4 0.1 0.9 1.2 0 -1.5
2016 0.3 0.5 0.1 -0.3 0.3 0.4 -1 0.4 0.2 0.5 0.4 0 1.9
2017 0 0.2 -0.2 0.5 -0.8 0 -0.5 0.2 -0.1 0.2 0.5 0.1 0.1
2018 -0.2 -0.1 0.3 -0.7 0 0.7 -0.5 -1 -0.1 1.8 -0.3 0.1 0.1
2019 -0.3 -0.3 0.2 -0.6 0.3 -0.9 -0.6 0.2 -0.7 0.3 -0.2 0.3 -2.3
2020 -0.4 -0.9 -1 -1.5 2 0.3 -0.5 0 0.5 -0.1 0.4 0.4 -0.9
2021 -0.3 1 -0.1 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart